权证是冗余证券吗? 基于沪深交易所的经验证据

Are warrants redundant securities? An empirical evidence from Shanghai and Shenzhen stock exchanges

为了从经验角度回答"沪深证券交易所中的权证是否为冗余证券"这一问题,本文从2005年8月至2009年12月的沪深交易所上市交易的不可创设权证及标的股票交易数据中选取估计窗与股权分置改革事件不重叠的部分交易数据作为样本(剔除了样本中的(股本)权证稀释效应、股权分置改革和权证创设对标的股票收益率的影响)对权证发行的数量效应和符号效应进行了实证分析.运用基于wild bootstrap的事件分析方法(克服了样本容量过小的问题)分别对权证标的股票的非正常收益、非正常累积收益和标准化的非正常累计收益是否为零进行了检验.本文没有发现"权证发行后标的股票的非正常收益率或非正常累积收益或标准化的非正常累积收益显著不等于零"的数量效应证据,发现了"权证发行后具有负的平均非正常累积收益的权证标的股票比例大于具有正的平均非正常累积收益的权证标的股票比例"的显著符号效应证据.本文认为,是更加偏好风险的激进投资者从标的股票市场转移到权证市场导致了这种现象.经验证据表明:沪深交易所中的权证不是冗余证券.

This paper aims to explore whether the warrants in Shanghai and Shenzhen stock exchanges are redundant securities by empirical studies. To obtain an exact analysis, an appropriate sample is selected from August, 2005 to December, 2009, which can exclude the influence of reform of non-tradable shares, dilution effect of warrants and recreation effect of warrants on the return of underlying assets. Wild bootstrap event study methods were employed to overcome the problem of too small sample size, which were performed on abnormal return, cumulative abnormal return, and standardized cumulative abnormal return to test the magnitude effect. The results demonstrate no evidence of magnitude effect after the introduction of warrants. However, the evidence of sign effect is found： the percentage of negative average cumulative abnormal return was bigger than that of the positive average cumulative abnormal return after the introduction of warrants. We claim that this phenomenon is caused by the migration of radical agents from stock market to warrants market and the warrants in Shanghai and conclude that Shenzhen stock exchanges are not redundant securities.